Daniel Dickler, Robert Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer and Xiaoming Wang[1] This Version:...
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SAS Weekly Forecast, February 3, 2023: Inverted Treasury Yield Curve Likely to Persist Through August
Today’s simulation shows that the inverted 2-year/10-year spread is likely to persist through August. The analysis below show...
A Bottom-up, Reduced Form Credit Risk Model Approach for the Determination of Collateralized Loan Obligation Capital
January 2023 Robert Jarrow[1] Donald R. van Deventer[2] Abstract This paper uses a bottom-up, reduced form credit risk model...
A Practical Guide to the Valuation of Coupon-Bearing Fixed Income Securities
Robert A. Jarrow and Donald R. van Deventer A Revised Version of this Note is Forthcoming in the Journal of Fixed Income ...
SAS Weekly Forecast, January 27, 2023: Probability of Inverted Treasury Yields Is 0 in 2025
The most important statistic from this week’s simulation is the future probability of an inverted 2 year/10 year Treasury yield...
SAS Weekly Forecast, January 20, 2023: Peak in Forward U.S. Treasury Yields Drops 0.10%
The 1-month forward U.S. Treasury yield curve currently shows a long-term peak down 0.10% this week. As explained in Prof....
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the German Bund Yield Curve, Using Daily Data from August 7, 1997 through December 31, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer, and Xiaoming Wang[1] First Version:...
SAS Weekly Forecast, January 13, 2023: Forward U.S. Treasury Yields Twin Peaks Shrink
The 1-month forward U.S. Treasury yield currently curve shows twin peaks down 0.24% in the short term and down 0.14% over the...
A 15-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the United Kingdom Government Bond Yield Curve, Using Daily Data from January 2, 1979 through November 30, 2022
Daniel Dickler, Robert A. Jarrow, Stas Melnikov, Alexandre Telnov, Donald R. van Deventer, and Xiaoming Wang[1] First Version:...
The Valuation and Hedging of Non-Maturity Deposits: Frequently Asked Questions
Donald R. van Deventer[1] First Version: October 31, 2022 This Version: January 10, 2023 Abstract A recent paper by Jarrow,...
SAS Weekly Forecast, January 6, 2023: Forward U.S. Treasury Yield Twin Peaks Persist
The 1-month forward U.S. Treasury yield currently show twin peaks at 5.04% in the short term and 4.77% over the longer term. As...
How Well Do U.S. Treasury Yields Forecast Inflation? An Update Through December 30, 2022
Donald R. van Deventer January 3, 2023 Abstract The size of the term premium embedded in the current U.S. Treasury yield curve...